TSAYNLTEST: RATS procedure to perform Tsay test for neglected non-linearities

Tom Doan ()

Statistical Software Components from Boston College Department of Economics

Abstract: TsayNLTest does the Tsay Ori-F test for neglected non-linearities in an autoregression. Optionally, it can do the LST variant (which tests more specifically against STAR). Tsay(1996), "Nonlinearity Tests for Time Series", Biometrika, vol 73, 461-466. Luukkonen, Saikkonen and Terasvirta(1988), "Testing Linearity against smooth transition autoregressive models", Biometrika vol 75, 491-499.

Language: RATS
Requires: RATS 5.10
Keywords: Non-linearity; test (search for similar items in EconPapers)
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